Governments have agreed to expand the global protected area network from 13% to 17% of the world’s land surface by 2020 (Aichi target 11) and to prevent the further loss of known threatened species (Aichi target 12). These targets are interdependent, as protected areas can stem biodiversity loss when strategically located and effectively managed. However, the global protected area estate is currently biased toward locations that are cheap to protect and away from important areas for biodiversity. Here we use data on the distribution of protected areas and threatened terrestrial birds, mammals, and amphibians to assess current and possible future coverage of these species under the convention. We discover that 17% of the 4,118 threatened vertebrates are not found in a single protected area and that fully 85% are not adequately covered (i.e., to a level consistent with their likely persistence). Using systematic conservation planning, we show that expanding protected areas to reach 17% coverage by protecting the cheapest land, even if ecoregionally representative, would increase the number of threatened vertebrates covered by only 6%. However, the nonlinear relationship between the cost of acquiring land and species coverage means that fivefold more threatened vertebrates could be adequately covered for only 1.5 times the cost of the cheapest solution, if cost efficiency and threatened vertebrates are both incorporated into protected area decision making. These results are robust to known errors in the vertebrate range maps. The Convention on Biological Diversity targets may stimulate major expansion of the global protected area estate. If this expansion is to secure a future for imperiled species, new protected areas must be sited more strategically than is presently the case.